High order ADI splitting scheme for stochastic volatility model with jump

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Cites Work

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The pricing of options and corporate liabilities
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High-order compact finite difference scheme for option pricing in stochastic volatility jump models
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